• I completed my PhD, Machine Learning for Decision Making Under Uncertainty, under the supervision of Rémi Munos and Alessandro Lazaric as part of the SequeL team at INRIA-Lille Nord Europe; and,
• Held research fellowships with
  • Rama Cont at
    • the University of Oxford, Mathematical Institute, and
    • the CFM-Imperial Institute of Quantitative Finance in the Department of Mathematics at Imperial College London;
  • Andrea Roventinit at the Institute of Economics at Scuola Superiore Sant’Anna Pisa, as a member of the EU Horizons 2020 Future and Emerging Technologies ISIGrowth project; with
  • Antoine Mandel at the Centre d'Économie de la Sorbonne in Université Paris 1, Panthéon-Sorbonne, as a member of the EU Horizons 2020 Future and Emerging Technologies DOLFINS project.

Publications

• Agent-Based Model Calibration using Machine Learning Surrogates, with Francesco Lamperti and Andrea Roventini, Journal of Economic Dynamics and Control, (Simple Batch Example in Python)
• The Replacement Bootstrap for Dependent Data, with Alessandro Lazaric and Daniil Ryabko, ISIT 2015, (C implementation, Python implementation)
• Exploiting easy data in online optimization, with Gergely Neu and Alessandro Lazaric, NIPS 2014
• Risk-aversion in multi-armed bandits, with Alessandro Lazaric and Rémi Munos, NIPS 2012

Talks

• June 30th, 2018, Agent-Based Model Calibration, Workshop on Economics with Heterogeneous Interacting Agents, Tokyo, Japan
• June 19th, 2018, Agent-Based Model Calibration, Invited Session on “Validation of Agent-Based Models”, Computing in Economics and Finance, Milan, Italy
• May 31st, 2018, Agent-Based Model Calibration using Machine Learning Surrogates, CFM-Imperial ENS Workshop on Machine Learning and Quantitative Finance 2018, London, England
• May 10th, 2018, Search-Based Calibration of Agent-Based Models using Machine Learning Surrogates, Centre for Complexity Science, Imperial College London, London, United Kingdom
• April 25th, 2018, Online Model Calibration using Machine Learning Surrogates, Capital Fund Management, Paris, France
• April 12th, 2018, Surrogate Calibration of Agent-Based Models, International Symposium in Computational Economics and Finance, Paris, France
• February 28th, 2018, Vol is Rough, Learn it!, Finance and Stochastics Seminar, Department of Mathematical Finance, Imperial College, London, United Kingdom
• June 14, 2017, Agent-Based Model Calibration using Machine Learning, Oxford Martin School, United Kingdom
• April 24, 2017, Agent-Based Model Calibration using Machine Learning, Macroeconomics, Growth and History Centre, School of Economics, University of Kent, United Kingdom
• January 23, 2017, Forecast Combination Insurance: Tunable Ex-ante Guarantees to the Average, Monash Business School Department of Econometrics and Business Statistics, Melbourne, Australia
• January 18, 2017, Robust Forecast Combinations: Insuring against the “Forecast Combination Puzzle”, SIERRA Team, Laboratoire d’Informatique de l'École Normale Superiéure, Paris, France
• January 17, 2017, Can Online Optimization Improve Macroeconomic Model Selection?, Laboratoire d'économie mathématique et de microéconomie appliquée, Paris, France
• September 28, 2016, Panel Discussion, Freewheeling Econometrics, Institute of Economics - Scuola Superiore Sant’Anna, Pisa, Italy
• September 19-22, 2016, Agent-Based Model Exploration and Calibration using Machine Learning Surrogates, Conference on Complex Systems, Amsterdam, The Netherlands
• June 28, 2016, Machine Learning Calibrations for Agent-Based Models, Computing in Economics and Finance, Bordeaux, France
• June 23, 2016, Agent-Based Model Exploration and Calibration using Machine Learning Surrogates, Workshop on the Economic Science with Heterogeneous Interacting Agents (WEHIA), Castellón, Spain
• April 21, 2016, Machine Learning Surrogates for Agent-Based Models, Institute of Economics - Scuola Superiore Sant’Anna, Pisa, Italy
• April 19, 2016, Learning Forecast Combinations for Output and Inflation, Institute of Economics - Scuola Superiore Sant’Anna, Pisa, Italy
• January 8, 2016, Agent-Based Model Calibration using Machine Learning, Paris-Bielefeld Workshop on Agent-Based Modeling, Centre d’Economie de la Sorbonne
• March 13, 2015, Exploiting Easy Data in Online Optimization, Centre d’Economie de la Sorbonne
• December 2014, Exploiting Easy Data in Online Optimization, Neural Information Processing Systems (NIPS) Spotlight
• December 2013, Replacement Bootstrap, Modern Nonparametric Methods in Machine Learning Workshop, Neural Information Processing Systems (NIPS)
• September 2013, The Universal Bootstrap for Dependent Data, Statistical modeling, financial data analysis and applications
• July 1st, 2012, Risk Aversion in Multi-Arm Bandits, International Conference in Machine Learning (ICML) Markets, Mechanisms and Multi-Agent Models Workshop 2012

Workshop Papers/Posters

• Inferring Complex Networks of Influence: Understanding Green Investment Tipping Points, with Antoine Mandel, NIPS Workshop on Inference and Learning of Hypothetical and Counterfactual Interventions in Complex Systems, 2016
• Macroeconomic Agent Based Model Calibration using Iterated Surrogates, with Francesco Lamperti, Antoine Mandel and Andrea Roventini, NIPS Workshop on Inference and Learning of Hypothetical and Counterfactual Interventions in Complex Systems, 2016
• Information Theoretic Bootstrapping for Dependent Time Series, with Alessandro Lazaric and Daniil Ryabko, NIPS Workshop on Modern Nonparametric Methods in Machine Learning, 2013
• The Universal Bootstrap for Dependent Data, with Alessandro Lazaric and Daniil Ryabko, Statistical modeling, financial data analysis and applications, 2013
• Risk Averse Multi-Arm Bandits, with Alessandro Lazaric and Rémi Munos, NIPS Workshop on Markets, Mechanism and Multi-Agent Models, 2012

Events

• June 24-26, 2019, Sponsor, Workshop on Economic Science with Heterogeneous Interacting Agents (WEHIA 2019)
• June 24-26, 2019, Co-Organiser, WEHIA 2019 Roundtables
• June 27, 2019, Organiser, Simudyne Calibration Hackathon @ WEHIA 2019
• April 2018, ISCEF Special Session, Validating Agent-Based Models
• February 10th, 2016, Collaborative Hackathon for Macroeconomic Agent-Based Model Surrogates
• February 9th, 2016, Macroeconomic Surrogates for Agent-Based Models Workshop
• November 2015 through February 2016, Data Driven Economics and Complexity Seminar Series

Visits

• February 2017, Einaudi Institute for Economics and Finance, Rome, Italy
• January 23-27, 2017, Monash Business School Department of Econometrics and Business Statistics, Melbourne, Australia
• January 10-11, University of Zurich, Department of Banking and Finance, Zurich, Switzerland
• February-September 2017, CFM-Imperial Institute of Quantitative Finance, London, United Kingdom
• September 25-30, 2016, Institute of Economics - Scuola Superiore Sant’Anna, Pisa, Italy
• September 16, 2016, Alan Turing Institute, London, England
• April 17-24, 2016, Institute of Economics - Scuola Superiore Sant’Anna, Pisa, Italy
• February 5, 2016, Center for Data Science Paris-Saclay, Saclay, France

Teaching

• February-March, 2017, Statistics and Business Analytics, MBA Program, HEC Paris
• January 5th, 2017 through February 16th, 2017, Machine Learning for Economics and Finance, University of Paris II Assas, Ingénierie Statistique Financière.
• February 4th, 2016 through March 3rd, 2016, Machine Learning for Economics and Finance II, University of Paris II Assas, Ingénierie Statistique Financière.
• December 3rd, 2015 through January 14th, 2016, Machine Learning for Economics and Finance I, University of Paris II Assas, Ingénierie Statistique Financière.